TRADE DYNAMICS IN THE MARKET FOR FEDERAL FUNDS

被引：110

作者：

Afonso, Gara ^{[1
]}

Lagos, Ricardo ^{[2
]}

机构：

[1] Fed Reserve Bank New York, Financial Intermediat Funct, New York, NY 10045 USA

[2] NYU, Dept Econ, New York, NY 10003 USA

来源：

ECONOMETRICA | 2015年 / 83卷 / 01期

关键词：

Fed funds market; search; bargaining; over-the-counter market; ASSET MARKETS; LIQUIDITY; SEARCH; MODEL; POLICY;

D O I：

10.3982/ECTA10586

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and normative questions: What are the determinants of the fed funds rate? How does the market reallocate funds? Is the market able to achieve an efficient reallocation of funds? We also use the model for theoretical and quantitative analyses of policy issues facing modern central banks.

引用

页码：263 / 313

页数：51

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